Sex differences are an important variable in biomedical research. The zebrafish (Danio rerio) is rapidly becoming a critical novel model organism in translational neuroscience and neuropharmacology. Here, we examine the effects of sex on locomotor activity and anxiety-like behavior in adult zebrafish tested in the novel tank test following their exposure to two clinically relevant, common anxiolytic drugs diazepam and melatonin. While control female zebrafish were more active and anxious than males, both sexes showed anxiolytic responses to melatonin (0.232 mg/L) but only males responded to diazepam (16 μg/L). Revealing sex specificity in pharmacological responses, this study emphasizes the importance of sex differences in behavioral and pharmacological analyses in zebrafish. This may also be potentially relevant to modeling sex differences in clinical responses to anxiolytic drugs. Collectively, our data support sex differences in zebrafish behavioral responses and reinforce the growing utility of this aquatic model in CNS drug screening.